It probably varies by state. For Massachusetts residents (which I assume you are, based on your user name), you have to report all gambling winnings that are reported on the Federal form, whether they are from Mass source gambling or not. And if you're a non-resident, you have to pay Mass taxes on Mass source gambling winnings. In either case, only losses from Mass source gambling are deductible.
http://access.massbar.org/blogs/marc...ambling-income
If you file as a professional gambler, then you report the gambling winnings on Schedule C as business income, and deduct the losses there, including non-Mass losses.
